Interpretable Factor Decomposition for Decision Intelligence in Large-Scale Financial Markets: Evidence from China's A-Share Market
“On prediction, using 60-month rolling windows over 55 months of out-of-sample data, XGBoost obtains a mean AUC of 0.547 (rank IC = 0.119) and +2.38%/month (Newey-West t = 5.94; annualized Sharpe 2.23) long-short spread for the top vs bottom quintiles.”
AssetEquities
StrategyMachine learningmomentum
TechniqueTree ensemblelinear factor model
GeographyChina
Also stated: 2009–2019, Sharpe ratio, Alpha, Long-short, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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